This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds … simple theory model, shocks to the relative willingness of customers and bond dealers to provide liquidity affect, in … events, such as exposing the increased role of buy-side customers for liquidity provision after the many regulatory changes …

initial underpricing and higher liquidity: New bonds generally have lower yields than seasoned benchmarks, and average … benchmark-adjusted returns form a humped pattern by horizon. We then test whether liquidity effects in bonds are linked to … issuers' equity liquidity. Generally, we find that equity and bond illiquidity are linked at the firm level, and that equity …

asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk … and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell …-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

benefits liquidity-consuming customers, as dealers penalize liquidity takers more than the electronic trading channel. Contrary … to expectations, at the onset of the Covid-19 crisis the costs for liquidity takers selling bonds electronically inverted … transparent order book. Volumes in electronic C-to-C trading are more driven by orders wherein the liquidity-consuming party is …

finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …

provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …